Price & Market BehaviorExtended setQuarantinedNew

volume dispersion reversal

Updated dailyData needs: lowlong onlyshort onlylong short

2023

Lof, M. & van Bommel, J. (2023). Asymmetric information and the distribution of trading volume. Journal of Corporate Finance, 82, 102464.

Read the paper →

In plain terms

When volume looks relatively uninformed and a stock makes an extreme move, the move is more likely to snap back. High-dispersion, informed-looking volume is not faded.

How it works

The volume coefficient of variation (trailing std/mean of daily share volume) increases with informed trade. Lof & van Bommel show return reversal weakens as VCV rises because informed price changes persist. This implementation therefore fades recent moves only in a low-VCV regime and leaves high-VCV moves flat. Its own-history rolling rank is a disclosed time-series adaptation of the paper's cross-sectional design.

Live results

960 times picked on its own · 1136 times inside a blend (1130 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1136 such blended picks (1130 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Low-VCV moves are more likely to reflect uninformed pressure and therefore reverse; high-VCV moves are more likely informed and are left flat.

Related families

Amihud IlliquidityPrice & Market Behavior

Measures how much the price moves per dollar traded. Stocks costly to exit must pay investors more — long the illiquid names for the premium.

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